I believe you may be inserting the VST's as Simple Instrument Tracks.
Is that correct?
If so, try inserting the synth with the following options:
MIDI Source Track
All synth Audio Outputs(stereo)
Synth Properties Page.
This will give you the MIDI track where the data is actually recorded, plus all available outputs from a given synth.
I think you will really like what this does for SD2 and Sample Tank.
Re the waveform preview. That is not a wav file, but an active view of the audio output from the synth.
It is most useful for checking your levels on the fly, and it shows any clipping as it occurs.
Think of it as a tool, not a product.
If you have figured out how to properly route Patchmix, you'll be able to find your way through SHS7

Yes, the learning curve is a bit steep at first, but the Anderton book should help, and we will do what we can to help you get up and running.